It isn't that an illegal good can't be copyrighted, exactly. It's that if it is illegal, to own the copyright, you have to assert your ownership. In most cases, the consequences of which may involve the state seizing said property from you - to prevent you profiting from the crimes involved.
Nothing about this is correct, at least in the US. Copyright infringement is a civil matter - the IP owner can sue over it, but it's not a crime and the state doesn't get involved (unless something else is going on beyond just infringement).
